spread_clock
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-10-03, from who-matches-overnight-us-stock-trades.
| et_hour | median_spread_bps | quote_count |
|---|---|---|
| 04:00 | 7 | 1524 |
| 05:00 | 5.7 | 434 |
| 06:00 | 7.3 | 655 |
| 07:00 | 4.8 | 1243 |
| 08:00 | 4.8 | 1385 |
| 09:00 | 1.5 | 100884 |
| 10:00 | 1.2 | 134690 |
| 11:00 | 0.9 | 104454 |
| 12:00 | 0.9 | 81737 |
| 13:00 | 0.6 | 65676 |
| 14:00 | 0.6 | 71337 |
| 15:00 | 0.6 | 113066 |
| 16:00 | 3.9 | 735 |
| 17:00 | 3 | 194 |
| 18:00 | 3.6 | 709 |
| 19:00 | 3 | 388 |
- Rows × columns
- 16 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_hour |
text | 16 distinct values (04:00, 05:00, 06:00…) | |
median_spread_bps |
number | 0.6 to 7.3 | |
quote_count |
number | 194 to 134,690 | count |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
formatDateTime(toTimeZone(sip_timestamp, 'America/New_York'), '%H:00') AS et_hour,
round(quantileDeterministic(0.5)(
20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),
toUInt64(sequence_number)), 1) AS median_spread_bps,
count() AS quote_count
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-09-15 00:00:00', 'America/New_York')
AND sip_timestamp < toDateTime('2026-09-16 00:00:00', 'America/New_York')
AND bid_price > 0
AND ask_price > bid_price
GROUP BY et_hour
HAVING count() >= 25
ORDER BY et_hour
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